Simply install the WHS Connector CD from the SBS console, run the setup.exe program, enter your WHS server’s password, and let it configure itself, and you’re done.
One piece of advice: I would suggest scheduling the SBS Backup utility (commonly called NTBackup) to make a backup of the Exchange store and have that complete prior to the WHS backup kicking off. The SBS backup utility is “Exchange aware” and will make sure that your Exchange log files are flushed.
Similarly, you could also schedule stsadm to do a backup of youre Companyweb/Sharepoint database. Instructions for doing this can be found in the Microsoft’s Backing Up and Restoring SBS white paper or on the SBS Diva blog site.